Computing Black Scholes in Excel

[@randomizer7813]

I was initially confused with Sigma = SQRT(0.1), just didn't feel right. After playing a while with the values I believe Sigma = IV, the prices were on spot after adjusting the value to IV for specific stock/strike/DTE.

[@smurphy4117]

Your videos are awesome! Are the returns used in standard deviation log (geometric) or arithmetic of periodic returns. I’m currently reading text on black scholes where it states “The mean and standard deviation of the continuously compounded return in one year are therefore μ- σ^2/2 and σ, respectively.” Here you show μ- σ^2/2 as the risk free rate so I’m a little confused. Source: fundamentals of futures and options markets -John C. Hull

[@aquetongmedia]

would be interesting to see this done in lamda